A Bayesian Approach to Testing for Markov Switching in Univariate and Dynamic Factor Models

1999 ◽  
Author(s):  
Chang-Jin Kim ◽  
Charles R. Nelson
Keyword(s):  
Bayesian Approach ◽  
Markov Switching ◽  
Factor Models ◽  
Dynamic Factor ◽  
Dynamic Factor Models

scholarly journals Markov-switching dynamic factor models in real time

2018 ◽  
Vol 34 (4) ◽  
pp. 598-611 ◽  
Author(s):  
Maximo Camacho ◽  
Gabriel Perez-Quiros ◽  
Pilar Poncela
Keyword(s):  
Real Time ◽  
Markov Switching ◽  
Factor Models ◽  
Dynamic Factor ◽  
Dynamic Factor Models ◽  
Switching Dynamic

scholarly journals Quantifying Drivers of Forecasted Returns Using Approximate Dynamic Factor Models for Mixed-Frequency Panel Data

Forecasting ◽  
2021 ◽  
Vol 3 (1) ◽  
pp. 56-90
Author(s):  
Monica Defend ◽  
Aleksey Min ◽  
Lorenzo Portelli ◽  
Franz Ramsauer ◽  
Francesco Sandrini ◽  
...  
Keyword(s):  
Panel Data ◽  
Model Selection ◽  
Estimation Method ◽  
Selection Criterion ◽  
Factor Models ◽  
Dynamic Factor ◽  
Dynamic Factor Models ◽  
Mixed Frequency ◽  
Model Selection Criterion ◽  
Mixed Frequency Data

This article considers the estimation of Approximate Dynamic Factor Models with homoscedastic, cross-sectionally correlated errors for incomplete panel data. In contrast to existing estimation approaches, the presented estimation method comprises two expectation-maximization algorithms and uses conditional factor moments in closed form. To determine the unknown factor dimension and autoregressive order, we propose a two-step information-based model selection criterion. The performance of our estimation procedure and the model selection criterion is investigated within a Monte Carlo study. Finally, we apply the Approximate Dynamic Factor Model to real-economy vintage data to support investment decisions and risk management. For this purpose, an autoregressive model with the estimated factor span of the mixed-frequency data as exogenous variables maps the behavior of weekly S&P500 log-returns. We detect the main drivers of the index development and define two dynamic trading strategies resulting from prediction intervals for the subsequent returns.

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